Résumé
The aim of this paper is to investigate whether information demand is a significant determinant of stock liquidity. For a large sample of 209 firms from 7 countries over the 2004–2014 period, we show that information demand, as proxied by daily search volume in Google, is positively associated with stock market liquidity. Most importantly, this relationship is found to be shaped by the firm's overall visibility and information asymmetry levels. We test the robustness of our results by employing different estimation methods and alternative proxies. Thus, it may be that investors and managers who are concerned with stock liquidity should consider investor information demand in addition to specific investment fundamentals.